The study builds on previous research that decomposes rating category default probability term structures from rating category interest rate term structures, and proposes a method to decompose rating migration matrices from market data, via decomposed default probability term structures. To...

The study examines rating migration, and default probability term structures obtained from rating migration matrices. It expands on the use of rating migration matrices with reduced form bond valuation models, by formally delineating the probability of default according to the likely rating...

The paper continues an equity valuation model based on a random process modelling of earnings and book value, coupled with rating categories and rating migration. In essence, earnings and book value probability distributions are related to rating categories, and the probability of an issue to...